Stationary Markov perfect equilibria in risk sensitive stochastic overlapping generations models
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- 作者：Anna Ja艣kiewicz<sup>asup><sup> ; sup><sup>anna.jaskiewicz@pwr.wroc.pl" class="auth_mailsup> ; Andrzej S. Nowak<sup>bsup><sup> ; sup><sup>a.nowak@wmie.uz.zgora.pl" class="auth_mailsup>
- 关键词：C62 ; C73 ; D91 ; O40
- 刊名：Journal of Economic Theory
- 出版年：May, 2014
- 年：2014
- 卷：151
- 期：Complete
- 页码：411-447
- 全文大小：459 K
文摘
In this paper, we study intergenerational stochastic games that can be viewed as a special class of overlapping generations models under uncertainty. Making use of the theorem of Dvoretzky, Wald and Wolfowitz from the statistical decision theory, we obtain new results on stationary Markov perfect equilibria for the aforementioned games, with a general state space, satisfying rather mild continuity and compactness conditions. A novel feature of our approach is the fact that we consider risk averse generations in the sense that they aggregate partial utilities using an exponential function. As a byproduct, we also provide a new existence theorem for intergenerational stochastic game within the standard framework where the aggregator is linear. Our assumptions imposed on the transition probability and utility functions allow to embrace a pretty large class of intergenerational stochastic games analysed recently in macroeconomics. Finally, we formulate a set of assumptions under which the stochastic process induced by the stationary Markov perfect equilibrium possesses an invariant distribution.